From minimal embeddings to minimal diffusions

DOI10.1214/ECP.V19-2889zbMATH Open1312.60093arXiv1306.2873OpenAlexW2134146782MaRDI QIDQ457779FDOQ457779

Authors: Alexander Matthew Gordon Cox, Martin Klimmek 

Publication date: 29 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: There is a natural connection between the class of diffusions, and a certain class of solutions to the Skorokhod Embedding Problem (SEP). We show that the important concept of minimality in the SEP leads to the new and useful concept of a minimal diffusion. Minimality is closely related to the martingale property. A diffusion is minimal if it minimises the expected local time at every point among all diffusions with a given distribution at an exponential time. Our approach makes explicit the connection between the boundary behaviour, the martingale property and the local time characteristics of time-homogeneous diffusions.

Full work available at URL: https://arxiv.org/abs/1306.2873

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zbMATH Keywords

local timediffusionsminimalitySkorokhod embedding problemlocal martingales

Mathematics Subject Classification ID

Diffusion processes (60J60) Martingales with continuous parameter (60G44) Local time and additive functionals (60J55)

Cited In (1)

• Minimal Root's embeddings for general starting and target distributions

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